PCEF Options History — September 2014

Name: PCEF Options Analytics - September 2014
Creator: Options Analysis Suite

In September 2014, PCEF traded between $24.30 and $25.15. ATM implied volatility averaged 80.8%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 75.8% (HV 20d: 5.0%). Max pain ranged from $25.00 to $26.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days.

Notable Days

2014-09-04: Highest Volume — 15 contracts
2014-09-24: Largest IV spike — 142.2% change
2014-09-30: Highest IV Rank — 68.5%
2014-09-30: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.73	$24.30	$25.15	$25.09	$24.35
Max Pain	$25.52	$25.00	$26.00	$25.00	$26.00
ATM IV	80.8%	20.5%	119.2%	77.0%	119.2%
Expected Move	9.4%	2.7%	11.0%	9.8%	11.0%
HV 20d	5.0%	4.5%	5.8%	5.8%	5.5%
HV 60d	6.0%	5.8%	6.4%	5.8%	6.3%
IV Rank	45.4%	9.2%	68.5%	43.1%	68.5%
IV Percentile	80.1%	54.0%	92.9%	79.8%	92.9%
Term Structure	-32.1%	-107.1%	62.8%	-39.9%	-42.4%
VWIV	15.9%	4.4%	26.7%	15.9%	4.4%
Skew 25d	12.1%	-76.6%	106.4%	-12.2%	-5.8%
Skew 10d	5.3%	-76.6%	85.8%	-72.2%	-5.8%
Call IV 25d	94.8%	13.6%	140.5%	130.8%	140.5%
Put IV 25d	106.9%	62.2%	143.3%	118.6%	134.7%
Bid-Ask Spread %	177.88	157.55	194.71	173.33	190.09
Gamma HHI	0.33	0.28	0.58	0.39	0.31
Net GEX	-5.3K	-10.3K	-3.1K	-5.8K	-3.6K
Net DEX	96.3K	70.9K	113.0K	82.0K	99.7K
Net VEX	-441	-524	-226	-321	-503
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
Total Volume	1.571	0	15	0	0
Total OI	88.476	83	94	83	87

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Put Vol	Call OI	Put OI
2014-09-02	$25.09	$25.00	77.0%	9.8%	5.8%	43.1%	0.0%	-12.2%	-39.9%	-5.8K	82.0K	-321	173.33	N/A	N/A	0	2	81
2014-09-03	$25.15	$25.00	79.2%	9.9%	4.6%	44.4%	0.0%	106.4%	-105.7%	-5.6K	70.9K	-386	164.51	N/A	N/A	0	2	81
2014-09-04	$25.09	$25.00	76.0%	10.0%	4.8%	42.5%	15.9%	-76.6%	-107.1%	-4.5K	75.9K	-426	157.95	N/A	N/A	15	2	81
2014-09-05	$25.10	$25.00	85.2%	10.0%	4.8%	48.1%	0.0%	4.6%	-25.8%	-4.7K	76.5K	-452	157.55	N/A	N/A	0	2	92
2014-09-08	$25.04	$25.00	94.4%	10.0%	4.7%	53.6%	0.0%	7.7%	-22.5%	-5.7K	85.4K	-443	163.85	N/A	N/A	0	2	92
2014-09-09	$24.93	$25.00	98.8%	6.9%	4.7%	56.2%	0.0%	2.4%	-29.2%	-6.6K	103.5K	-394	159.78	N/A	N/A	0	2	92
2014-09-10	$24.95	$25.00	96.8%	10.4%	4.7%	55.0%	0.0%	2.7%	-73.8%	-5.2K	110.3K	-507	169.30	N/A	N/A	0	2	92
2014-09-11	$24.92	$25.00	79.5%	10.4%	4.5%	44.6%	0.0%	-1.2%	-75.7%	-5.1K	113.0K	-505	186.45	N/A	N/A	0	2	92
2014-09-12	$24.81	$25.00	80.7%	10.2%	4.6%	45.3%	16.5%	2.9%	-78.6%	-6.4K	88.0K	-438	168.44	N/A	N/A	1	2	92
2014-09-15	$24.59	$25.00	81.1%	9.9%	5.0%	45.6%	26.7%	1.4%	-33.1%	-9.8K	103.7K	-268	172.93	N/A	N/A	14	2	92
2014-09-16	$24.66	$26.00	85.8%	10.2%	4.8%	48.4%	0.0%	0.8%	-37.4%	-3.9K	98.9K	-524	193.43	N/A	N/A	0	2	86
2014-09-17	$24.66	$26.00	87.1%	10.3%	4.7%	49.2%	0.0%	0.8%	-36.3%	-5.2K	96.3K	-416	175.79	N/A	N/A	0	2	86
2014-09-18	$24.70	$26.00	88.5%	10.3%	4.8%	50.0%	0.0%	81.0%	-38.5%	-3.7K	105.2K	-499	189.03	N/A	N/A	1	2	86
2014-09-19	$24.71	$26.00	44.4%	10.3%	4.7%	23.5%	0.0%	76.4%	55.1%	-5.1K	104.6K	-504	187.99	N/A	N/A	0	2	86
2014-09-22	$24.53	$26.00	47.7%	10.6%	5.2%	25.5%	0.0%	-5.6%	62.8%	-4.3K	80.5K	-474	182.04	N/A	N/A	0	0	85
2014-09-23	$24.49	$26.00	20.5%	2.7%	5.2%	9.2%	0.0%	86.3%	-6.8%	-10.3K	99.3K	-226	183.38	N/A	N/A	0	0	85
2014-09-24	$24.55	$26.00	49.6%	10.5%	5.2%	26.7%	0.0%	-1.2%	60.7%	-4.0K	106.5K	-497	188.88	N/A	N/A	0	0	85
2014-09-25	$24.38	$26.00	99.7%	6.3%	5.4%	56.8%	0.0%	-2.5%	-32.3%	-3.8K	104.1K	-499	194.71	N/A	N/A	0	0	85
2014-09-26	$24.36	$26.00	91.3%	6.3%	5.4%	51.7%	4.4%	-5.0%	-30.1%	-5.1K	112.1K	-484	184.11	N/A	N/A	2	0	85
2014-09-29	$24.30	$26.00	113.5%	10.6%	5.3%	65.1%	0.0%	-9.1%	-37.4%	-3.1K	105.9K	-502	191.95	N/A	N/A	0	0	87
2014-09-30	$24.35	$26.00	119.2%	11.0%	5.5%	68.5%	0.0%	-5.8%	-42.4%	-3.6K	99.7K	-503	190.09	N/A	N/A	0	0	87